AGRANA Beteiligungs (Austria) Market Value
AGR Stock | EUR 14.00 0.60 4.48% |
Symbol | AGRANA |
AGRANA Beteiligungs 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to AGRANA Beteiligungs' stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of AGRANA Beteiligungs.
05/09/2022 |
| 03/29/2024 |
If you would invest 0.00 in AGRANA Beteiligungs on May 9, 2022 and sell it all today you would earn a total of 0.00 from holding AGRANA Beteiligungs Aktiengesellschaft or generate 0.0% return on investment in AGRANA Beteiligungs over 690 days. AGRANA Beteiligungs is related to or competes with Raiffeisen Bank, UNIQA Insurance, Erste Group, CNH Industrial, Addiko Bank, and Wiener Privatbank. AGRANA Beteiligungs-Aktiengesellschaft operates as a processor of agricultural raw materials worldwide More
AGRANA Beteiligungs Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure AGRANA Beteiligungs' stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess AGRANA Beteiligungs Aktiengesellschaft upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.06 | |||
Information Ratio | (0.11) | |||
Maximum Drawdown | 4.65 | |||
Value At Risk | (1.39) | |||
Potential Upside | 1.52 |
AGRANA Beteiligungs Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGRANA Beteiligungs' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGRANA Beteiligungs' standard deviation. In reality, there are many statistical measures that can use AGRANA Beteiligungs historical prices to predict the future AGRANA Beteiligungs' volatility.Risk Adjusted Performance | 0.0133 | |||
Jensen Alpha | (0.04) | |||
Total Risk Alpha | (0.23) | |||
Sortino Ratio | (0.11) | |||
Treynor Ratio | 0.016 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AGRANA Beteiligungs' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
AGRANA Beteiligungs- Backtested Returns
AGRANA Beteiligungs- secures Sharpe Ratio (or Efficiency) of -0.0374, which signifies that the company had a -0.0374% return per unit of risk over the last 3 months. AGRANA Beteiligungs Aktiengesellschaft exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AGRANA Beteiligungs' mean deviation of 0.7257, and Risk Adjusted Performance of 0.0133 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.4, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, AGRANA Beteiligungs' returns are expected to increase less than the market. However, during the bear market, the loss of holding AGRANA Beteiligungs is expected to be smaller as well. AGRANA Beteiligungs- has an expected return of -0.0393%. Please make sure to confirm AGRANA Beteiligungs- downside variance, and the relationship between the treynor ratio and kurtosis , to decide if AGRANA Beteiligungs- performance from the past will be repeated in the future.
Auto-correlation | 0.01 |
Virtually no predictability
AGRANA Beteiligungs Aktiengesellschaft has virtually no predictability. Overlapping area represents the amount of predictability between AGRANA Beteiligungs time series from 9th of May 2022 to 19th of April 2023 and 19th of April 2023 to 29th of March 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AGRANA Beteiligungs- price movement. The serial correlation of 0.01 indicates that just 1.0% of current AGRANA Beteiligungs price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.01 | |
Spearman Rank Test | -0.08 | |
Residual Average | 0.0 | |
Price Variance | 2.14 |
AGRANA Beteiligungs- lagged returns against current returns
Autocorrelation, which is AGRANA Beteiligungs stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting AGRANA Beteiligungs' stock expected returns. We can calculate the autocorrelation of AGRANA Beteiligungs returns to help us make a trade decision. For example, suppose you find that AGRANA Beteiligungs has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
Timeline |
AGRANA Beteiligungs regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If AGRANA Beteiligungs stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGRANA Beteiligungs stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGRANA Beteiligungs stock over time.
Current vs Lagged Prices |
Timeline |
AGRANA Beteiligungs Lagged Returns
When evaluating AGRANA Beteiligungs' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGRANA Beteiligungs stock have on its future price. AGRANA Beteiligungs autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, AGRANA Beteiligungs autocorrelation shows the relationship between AGRANA Beteiligungs stock current value and its past values and can show if there is a momentum factor associated with investing in AGRANA Beteiligungs Aktiengesellschaft.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards AGRANA Beteiligungs in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, AGRANA Beteiligungs' short interest history, or implied volatility extrapolated from AGRANA Beteiligungs options trading.
Pair Trading with AGRANA Beteiligungs
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if AGRANA Beteiligungs position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AGRANA Beteiligungs will appreciate offsetting losses from the drop in the long position's value.Moving together with AGRANA Stock
0.65 | STM | Stadlauer Malzfabrik | PairCorr |
Moving against AGRANA Stock
0.79 | EXO | Exor NV | PairCorr |
0.67 | BG | BAWAG Group AG | PairCorr |
0.66 | ULVR | Unilever PLC | PairCorr |
0.48 | OMV | OMV Aktiengesellschaft | PairCorr |
The ability to find closely correlated positions to AGRANA Beteiligungs could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGRANA Beteiligungs when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back AGRANA Beteiligungs - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling AGRANA Beteiligungs Aktiengesellschaft to buy it.
The correlation of AGRANA Beteiligungs is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AGRANA Beteiligungs moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGRANA Beteiligungs- moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for AGRANA Beteiligungs can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out AGRANA Beteiligungs Correlation, AGRANA Beteiligungs Volatility and AGRANA Beteiligungs Alpha and Beta module to complement your research on AGRANA Beteiligungs. You can also try the Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Complementary Tools for AGRANA Stock analysis
When running AGRANA Beteiligungs' price analysis, check to measure AGRANA Beteiligungs' market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy AGRANA Beteiligungs is operating at the current time. Most of AGRANA Beteiligungs' value examination focuses on studying past and present price action to predict the probability of AGRANA Beteiligungs' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGRANA Beteiligungs' price. Additionally, you may evaluate how the addition of AGRANA Beteiligungs to your portfolios can decrease your overall portfolio volatility.
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